If for example you wanted to use a terminal application like HyperTerm to connect to a remote system you can't connect using shared networking.
Just go into your PC Drive setup, and change COM2 to 'modem' or whatever the name of your internal modem is. It should work the same way as if you had installed it in a PC on COM2. Just configure your terminal application to recognize (COM2 is the standard port for internal modems).